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Laborda, Ricardo; Olmo, Jose - In: Journal of Financial Markets 18 (2014) C, pp. 206-233

This article studies the statistical significance of the set of market sentiment variables proposed by Baker and Wurgler (2006) to predict the risk premium on U.S. sovereign bonds. We show that these variables can be summarized in one single market sentiment factor similar in spirit to the...

Persistent link: https://www.econbiz.de/10010753254

Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions

Escanciano, J Carlos; Olmo, Jose - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10008371890

Uncovered Interest Parity : Are Empirical Rejections of It Valid?

Olmo, Jose; Pilbeam, Keith - In: Journal of economic integration 24 (2009) 2, pp. 369-384

Persistent link: https://www.econbiz.de/10008323766

Early detection techniques for market risk failure

Olmo, Jose; Pouliot, William - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 4, pp. 1-53

Persistent link: https://www.econbiz.de/10010008354

Quantile Double AR Time Series Models for Financial Returns

Cai, Yuzhi; Montes‐Rojas, Gabriel; Olmo, Jose - In: Journal of forecasting 32 (2013) 6, pp. 551-560

Persistent link: https://www.econbiz.de/10010156096

LONG-RUN RISK DYNAMICS, INSTABILITIES, AND BREAKS ON EUROPEAN CREDIT MARKETS OVER A CRISIS PERIOD

Kapar, Burcu; Laborda, Ricardo; Olmo, Jose - In: The journal of fixed income 22 (2012) 2, pp. 31-44

Persistent link: https://www.econbiz.de/10010030920

A nonlinear threshold model for the dependence of extremes of stationary sequences

Martinez, Oscar; Olmo, Jose - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 3, pp. 1-37

Persistent link: https://www.econbiz.de/10010048910

Detecting the presence of insider trading via structural break tests

Olmo, Jose; Pilbeam, Keith; Pouliot, William - In: Journal of banking & finance 35 (2011) 11, pp. 2820-2829

Persistent link: https://www.econbiz.de/10009290672

Uncovered interest parity and the efficiency of the foreign exchange market: a re‐examination of the evidence

Olmo, Jose; Pilbeam, Keith - In: International journal of finance & economics : IJFE 16 (2011) 2, pp. 189-205

Persistent link: https://www.econbiz.de/10008898250

Portfolio Selection in Quantile Decision Models

de Castro, Luciano I. - 2020

This paper develops a model for optimal portfolio allocation for an investor with quantile preferences, i.e., who maximizes the τ-quantile of the portfolio return, for τ ∈ (0,1). Quantile preferences allow to study heterogeneity in individuals' portfolio choice by varying the quantiles, and...

Persistent link: https://www.econbiz.de/10012846524

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